报告题目：Climate Change Concerns, Firm ESG Performance, and Pricing of Weather-Related Natural

 Catastrophes: Evidence from the Catastrophe Bond Market

报告所属学科：应用经济学

报告人：孙涛（香港岭南大学金融保险系）

报告时间：2024年5月16日 10:00-12:30

报告地点：经管学院702室

报告摘要：

We examine the impacts of media climate change concerns and sponsors’ ESG performance on the pricing of weather-related catastrophe bonds. We find that unexpected changes in media climate change concerns have a substantial impact on catastrophe bond secondary market spread. Moreover, investors demand a lower spread for catastrophe bonds sponsored by insurers with better ESG performance. A one-standard-deviation increase in sponsor ESG score will lead to a decrease in catastrophe bond spread by 107.0 basis points, or 18.0% of the average bond spread. More importantly, sponsor ESG performance mitigates the adverse impact of unexpected change in media climate change concern on catastrophe bond spread. Using the 2008 Great Financial Crisis as an exogenous shock, we show that the effect of sponsor ESG performance on catastrophe bond spread is casual because catastrophe bonds with observable sponsor ESG performance traded 116.5 basis points lower than those without observable sponsor ESG scores. Our findings have important implications for financing climate risk using insurance-linked securities.

报告人简介：

Prof. Tao Sun is currently a faculty member in the Department of Finance and Insurance at Lingnan University. He received his Ph.D. degree in Risk Management and Insurance from Temple University. His current research interests include systemic risk and financial stability, insurance economics, risk modeling, mortality/longevity risk management, and corporate risk management. Prof. Sun has publications in top tier journals in risk management, insurance and actuarial science, including the Journal of Risk and Insurance, and Insurance: Mathematics and Economics. He serves as referee for the Journal of Risk and Insurance, Insurance: Mathematics and Economics, Risk Management and Insurance Review, the North American Actuarial Journal, and the Journal of Insurance Issues. He was the principal investigator of Hong Kong Research Grants Council General Research Funds.